TY - GEN
T1 - Guaranteed Cost Strategy for Hierarchical Game in Financial Systems
T2 - Chinese Intelligent Automation Conference, CIAC 2021
AU - Shi, Min
AU - Yuan, Yuan
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.
PY - 2022
Y1 - 2022
N2 - This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.
AB - This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.
KW - Differential game
KW - Financial market system
KW - Guaranteed cost strategy
KW - Noncooperative game
UR - http://www.scopus.com/inward/record.url?scp=85118179989&partnerID=8YFLogxK
U2 - 10.1007/978-981-16-6372-7_37
DO - 10.1007/978-981-16-6372-7_37
M3 - 会议稿件
AN - SCOPUS:85118179989
SN - 9789811663710
T3 - Lecture Notes in Electrical Engineering
SP - 324
EP - 332
BT - Proceedings of 2021 Chinese Intelligent Automation Conference
A2 - Deng, Zhidong
PB - Springer Science and Business Media Deutschland GmbH
Y2 - 5 November 2021 through 7 November 2021
ER -
